Set up auditing for your database
The following section describes the configuration of auditing using the Azure portal.
1. Go to the Azure portal.
2. Navigate to Auditing under the Security heading in your SQL database db1/server pane

3. If you prefer to enable auditing on the database level, switch Auditing to ON.

Reference:
https://docs.microsoft.com/en-us/azure/sql-database/sql-database-auditing